Parametric Value At Risk

Version 1.0.0.1 (11.5 KB) by David Willingham
Computes the Parametric Value at Risk for a given Portfolio
3.3
(3)
1.2K Downloads
Updated 1 Sep 2016

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E.g.
confidence_level = 0.95;
plot_flag = true;
figure
VAR_hist = computeParametricVaR(returns,confidence_level,plot_flag)

Cite As

David Willingham (2026). Parametric Value At Risk (https://www.mathworks.com/matlabcentral/fileexchange/38849-parametric-value-at-risk), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers
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Version Published Release Notes
1.0.0.1

Updated license
1.0.0.0